Okayama Economic Review
Published by the Economic Association of Okayama University

東瀬戸圏BSIにおける季節性について

Nishida, Sayuri
Fujimoto, Toshimi
Abstract
This paper analyzes the nature of seasonality in quarterly observations for the East Seto Area BSI series. We begin with quantitative mesures of seasonality. Most series have at least 30 percent of their non-trend variation mopped up by seasonal dummy variables alone. We turn to tests of the order of integration. Unit root tests are applied to determine whether the seasonal component in each variable exhibits stochastic nonstationality. 36 series are found to have a seasonal unit root only and the remaining series are almost stationary. This implies that the the ΔΔ(4) transform, frequently implicitly embodied in any seasonal adjustment program, leads to overdifferencing.
Note
論説 (Article)
ISSN
0386-3069
NCID
AN00032897